Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0791 |
| Annualized Std Dev | 0.4643 |
| Annualized Sharpe (Rf=0%) | -0.1704 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3255.0000 |
| NAs | 1.0000 |
| Minimum | -0.1876 |
| Quartile 1 | -0.0136 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | -0.0003 |
| Quartile 3 | 0.0144 |
| Maximum | 0.2185 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0009 |
| Stdev | 0.0292 |
| Skewness | -0.0468 |
| Kurtosis | 6.2995 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0209 |
| Gain Deviation | 0.0208 |
| Loss Deviation | 0.0216 |
| Downside Deviation (MAR=210%) | 0.0253 |
| Downside Deviation (Rf=0%) | 0.0208 |
| Downside Deviation (0%) | 0.0208 |
| Maximum Drawdown | 0.9567 |
| Historical VaR (95%) | -0.0447 |
| Historical ES (95%) | -0.0697 |
| Modified VaR (95%) | -0.0447 |
| Modified ES (95%) | -0.0705 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2012-11-20 | NA | -0.9567 | 3233 | 1137 | NA |
| 2008-04-17 | 2008-05-01 | 2008-05-13 | -0.0653 | 19 | 11 | 8 |
| 2008-05-15 | 2008-05-15 | 2008-05-16 | -0.0010 | 2 | 1 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | -2.5 | 5.1 | -4.8 | -1.7 | 0.7 | 4.5 | 4.8 | -16.2 | 2.8 | -8.8 |
| 2009 | 1.7 | -2.4 | 2.3 | 1.3 | 7.3 | 0.7 | -2.4 | -4.7 | -5 | -4.1 | 3.3 | -0.1 | -2.6 |
| 2010 | 2.7 | -0.5 | 0.2 | -2.8 | -3.8 | 2.9 | -3.3 | 3.7 | -1 | -1.3 | 2.8 | 0.3 | -0.4 |
| 2011 | 2.1 | -1.6 | -0.6 | 4.1 | -4.1 | 0.8 | 1.2 | -3.3 | -5.3 | -4.9 | 0 | -0.4 | -11.6 |
| 2012 | 2.3 | -1.9 | 0 | 3.2 | -3.1 | 3.4 | -0.8 | 1.9 | -1 | 2.3 | 0.2 | 2.8 | 9.6 |
| 2013 | 0.9 | -1.1 | -1.4 | -2.2 | -3.8 | 2.3 | -2.4 | 1.1 | 4.1 | 3.7 | -1.4 | -1.7 | -2.2 |
| 2014 | -2.1 | -1.2 | 2.5 | 1.2 | -2.6 | -0.4 | -2.1 | 0.8 | -3.1 | 2.8 | -5.2 | 1.3 | -8 |
| 2015 | -0.6 | 0.1 | 1.5 | 1 | -1.4 | -1 | -2 | -2.4 | 0.3 | -1.7 | 3 | 0.1 | -3.2 |
| 2016 | -0.7 | -0.6 | -0.1 | -1.5 | 0.4 | 0.2 | 1.1 | -0.4 | 0.2 | -0.5 | -1 | -0.8 | -3.7 |
| 2017 | 0.5 | -0.6 | -0.1 | -0.2 | 0.2 | 0.4 | 0.5 | 1 | 0.7 | 0.5 | -1.5 | -0.4 | 0.9 |
| 2018 | -1.3 | 0.3 | 1.2 | -1.1 | -1.2 | 0.1 | -0.5 | 0.7 | 0 | 3.5 | -2.5 | -0.1 | -1.1 |
| 2019 | -2.4 | 0.5 | 1.9 | 1.1 | -1.2 | 1.9 | 2.9 | 0 | -1.7 | 0.3 | -1 | 0.3 | 2.6 |
| 2020 | -2.8 | -0.1 | -5.5 | -4.4 | 3.3 | 1.9 | -0.1 | 1.3 | 3.7 | -2.8 | -1.4 | 0.4 | -6.8 |
| 2021 | 1.7 | 5.7 | 3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 10.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-04-15 260. SPY 133. 0.0023 -0.0262 0.028 -0.0569 -0.0918 0.136 0.529 GLD 91.7 0.006 0.0145
2 2008-04-16 273. SPY 137. 0.0271 0.0075 0.0666 -0.00960 -0.0696 0.182 0.538 GLD 93.3 0.0176 0.0106
3 2008-04-17 263. SPY 137. 0.0015 0.0076 0.0256 0.0005 -0.0694 0.201 0.526 GLD 92.6 -0.0076 0.0086
4 2008-04-18 266. SPY 138. 0.0104 0.0382 0.0626 0.0378 -0.0594 0.209 0.569 GLD 90.6 -0.021 -0.0074
5 2008-04-21 269 SPY 139. 0.0005 0.0423 0.049 0.0491 -0.0678 0.200 0.547 GLD 90.2 -0.0041 -0.0094
6 2008-04-22 271. SPY 138. -0.0044 0.0353 0.0239 0.0552 -0.0684 0.212 0.539 GLD 90.3 0.0002 -0.0152
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
